My sister-in-law and I have hosted one for the past 3 years. So much fun! We ask everyone to bring 6 dozen cookies. We have dinner and play goofy Christmas games. We also have a gift exchange with those who want to participate. I put together a cookbook of all the recipes for guests to take home w/ them the night of the party (they email me their recipes prior to the party). I also decorate a small Christmas tree w/ cookie cutters and the guests take one as a party favor.
This is the website that I used when originally looking to host an exchange:
Cookie Exchange.com - The Original Cookie Swap Site! -- Est.1997